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koffie en thee

*The author of this computation has been verified*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 16 Dec 2009 12:08:43 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/16/t12609906133xgqosgyhl5nti6.htm/, Retrieved Wed, 16 Dec 2009 20:10:15 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2009/Dec/16/t12609906133xgqosgyhl5nti6.htm/},
    year = {2009},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

8.32 8.27 8.28 8.32 8.3 8.26 8.29 8.17 8.04 8 7.98 7.97 7.92 7.96 7.99 7.93 7.97 7.95 7.96 7.97 7.9 7.76 7.74 7.72 7.68 7.72 7.71 7.71 7.68 7.7 7.69 7.66 7.61 7.33 7.24 7.14

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.254125	1.5034	0.07085
2	0.093328	0.5521	0.292183
3	0.031488	0.1863	0.426649
4	-0.163515	-0.9674	0.17
5	-0.177492	-1.0501	0.150444
6	-0.170498	-1.0087	0.160025
7	-0.06984	-0.4132	0.340998
8	-0.199544	-1.1805	0.122878
9	-0.05167	-0.3057	0.380828
10	-0.03417	-0.2022	0.420484
11	0.046102	0.2727	0.393326
12	0.26671	1.5779	0.061795
13	0.280068	1.6569	0.053239
14	0.087914	0.5201	0.303132
15	-0.088117	-0.5213	0.302718
16	0.009996	0.0591	0.476591
17	-0.202139	-1.1959	0.119893
18	-0.12514	-0.7403	0.232017
19	-0.159078	-0.9411	0.176547
20	-0.131679	-0.779	0.220601
21	-0.052437	-0.3102	0.379117
22	-0.082658	-0.489	0.313943
23	0.021213	0.1255	0.450425
24	0.028267	0.1672	0.434075
25	0.189152	1.119	0.135372
26	0.211602	1.2519	0.109462
27	-0.001866	-0.011	0.495627
28	0.027534	0.1629	0.435771
29	-0.061319	-0.3628	0.359481
30	-0.136352	-0.8067	0.212653
31	-0.110023	-0.6509	0.25968
32	-0.023588	-0.1395	0.444908
33	-0.014008	-0.0829	0.467212
34	0.007634	0.0452	0.482118
35	NA	NA	NA
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.254125	1.5034	0.07085
2	0.030733	0.1818	0.428387
3	0.000738	0.0044	0.498271
4	-0.186519	-1.1035	0.138679
5	-0.105646	-0.625	0.268008
6	-0.093377	-0.5524	0.292085
7	0.019632	0.1161	0.4541
8	-0.212895	-1.2595	0.108091
9	0.006093	0.036	0.485725
10	-0.073834	-0.4368	0.332466
11	0.061255	0.3624	0.35962
12	0.200055	1.1835	0.122286
13	0.161875	0.9577	0.1724
14	-0.104538	-0.6185	0.27014
15	-0.161559	-0.9558	0.172866
16	0.084238	0.4984	0.310675
17	-0.11014	-0.6516	0.259459
18	0.025786	0.1526	0.439813
19	-0.173937	-1.029	0.155264
20	-0.0127	-0.0751	0.470268
21	0.00488	0.0289	0.488566
22	-0.043725	-0.2587	0.398699
23	-0.061152	-0.3618	0.359845
24	-0.058945	-0.3487	0.364694
25	0.023332	0.138	0.445503
26	0.14197	0.8399	0.203331
27	-0.11175	-0.6611	0.256431
28	0.000608	0.0036	0.498575
29	-0.066008	-0.3905	0.349263
30	-0.037507	-0.2219	0.412843
31	0.039723	0.235	0.407788
32	0.038382	0.2271	0.410844
33	0.009207	0.0545	0.478437
34	-0.013582	-0.0804	0.468208
35	NA	NA	NA
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609906133xgqosgyhl5nti6/188qd1260990521.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609906133xgqosgyhl5nti6/188qd1260990521.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609906133xgqosgyhl5nti6/2xuzq1260990521.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609906133xgqosgyhl5nti6/2xuzq1260990521.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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